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Isolated Islands or Communicating Vessels? – Bitcoin Price and Volume Spillovers Across Cryptocurrency Platforms

Author

Listed:
  • Agata Kliber

    (Department of Applied Mathematics, Poznan University of Economics and Business, Poznan, Poland)

  • Katarzyna Wlosik

    (Department of Monetary Policy and Financial Markets, Poznan University of Economics and Business, Poznan, Poland)

Abstract

The aim of this research is to investigate interdependencies between leading cryptocurrency exchanges (American, European and Japanese ones). We examine price and volume spillovers of daily frequency, to answer the question whether these platforms are integrated one with another or whether they form different isolated clusters. The results show that the big exchanges are indeed closely linked one to another. However, the magnitude of spillovers is higher in the case of prices, compared to volume. We also find that the analysed markets react with the same intensity to the price shocks coming from the other markets as to their own shocks. They are, however, more isolated in terms of volume spillovers.

Suggested Citation

  • Agata Kliber & Katarzyna Wlosik, 2019. "Isolated Islands or Communicating Vessels? – Bitcoin Price and Volume Spillovers Across Cryptocurrency Platforms," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(4), pages 324-341, August.
    • Handle: RePEc:fau:fauart:v:69:y:2019:i:4:p:324-341
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    File URL: http://journal.fsv.cuni.cz/mag/article/show/id/1441
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    Citations

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    Cited by:

    1. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    2. Kołodziejczyk, Hanna, 2023. "Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).

    More about this item

    Keywords

    bitcoin; cryptocurrency; volume; price spillovers; spillover index;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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